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Backtest - WO Classic 2.5Δ Calls

End Balance
$651,843
4.2% CAGR
Drawdown
-$36,290
-5.6%
Sortino
0.31
0.39 Sharpe
Stack Positions
The percent return on this chart represents the sum of all individual day percent gains. This does not include compounding or represent total return.
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Total Return CAGR Drawdown MAR Sharpe Sortino Annualized Vol. Correlation Beta
Portfolio 30.4% 4.2% -5.6% 0.76 0.39 0.31 3.9
SPX 87.5% 10.3% -0%
Start Date
September 1, 2016
End Date
January 27, 2023
Start Balance
$500,000
End Balance
$651,843
Broker Fees
$13,054
Return %
30.4%
Return $
$151,843
CAGR
4.2%
Drawdown %
-5.6%
Drawdown $
-$36,290
Drawdown Days
399 days
Sortino
0.31
Sharpe
0.39
MAR
0.76
Annual Vol.
3.9%
Correlation
Beta
Trades
1338
Winners
1323 (98.9%)
Losers
15
Avg Gain
$113
Avg Winner
$209
Avg Loser
-$8,319
Premium Collected $
$355,287
Premium Retained $
$164,897
Premium Retained %
46.4%
  • Year

    Backtest

    SPX

  • 2016
    0.0%
    3.3%
    September
    0.3%
    -0.1%
    October
    0.2%
    -1.9%
    November
    0.3%
    3.4%
    December
    -0.8%
    1.8%
  • 2017
    0.8%
    18.0%
    January
    -1.2%
    1.8%
    February
    0.2%
    3.7%
    March
    0.3%
    0.0%
    April
    0.2%
    0.9%
    May
    0.2%
    1.2%
    June
    0.2%
    0.5%
    July
    0.1%
    1.9%
    August
    0.2%
    0.1%
    September
    0.2%
    1.9%
    October
    0.2%
    2.2%
    November
    0.2%
    2.8%
    December
    0.2%
    1.1%
  • 2018
    4.7%
    -5.1%
    January
    0.1%
    5.5%
    February
    -0.1%
    -3.7%
    March
    0.4%
    -2.5%
    April
    0.6%
    0.4%
    May
    0.4%
    2.2%
    June
    0.3%
    0.5%
    July
    0.3%
    3.6%
    August
    0.3%
    3.0%
    September
    0.2%
    0.5%
    October
    0.7%
    -7.0%
    November
    0.5%
    1.9%
    December
    1.0%
    -9.3%
  • 2019
    4.9%
    26.2%
    January
    0.7%
    7.7%
    February
    0.3%
    3.0%
    March
    0.4%
    1.8%
    April
    0.3%
    3.9%
    May
    0.5%
    -6.7%
    June
    0.2%
    6.7%
    July
    0.4%
    1.4%
    August
    0.7%
    -1.6%
    September
    0.4%
    1.8%
    October
    0.4%
    2.1%
    November
    0.2%
    3.4%
    December
    0.3%
    2.8%
  • 2020
    7.4%
    21.0%
    January
    0.3%
    -0.1%
    February
    -0.1%
    -8.5%
    March
    2.2%
    -9.7%
    April
    1.4%
    12.6%
    May
    -1.7%
    4.7%
    June
    1.1%
    2.2%
    July
    0.8%
    5.5%
    August
    0.4%
    6.8%
    September
    0.4%
    -3.8%
    October
    1.0%
    -2.6%
    November
    0.7%
    10.3%
    December
    0.6%
    3.7%
  • 2021
    6.1%
    24.7%
    January
    0.6%
    -1.0%
    February
    0.6%
    2.7%
    March
    0.7%
    4.3%
    April
    0.5%
    5.1%
    May
    0.5%
    0.6%
    June
    0.5%
    2.2%
    July
    0.4%
    2.3%
    August
    0.3%
    2.9%
    September
    0.5%
    -4.8%
    October
    0.5%
    6.8%
    November
    0.4%
    -0.8%
    December
    0.5%
    4.4%
  • 2022
    3.4%
    -18.7%
    January
    0.8%
    -5.3%
    February
    -4.2%
    -3.0%
    March
    1.2%
    3.8%
    April
    1.1%
    -9.0%
    May
    1.9%
    0.4%
    June
    -2.2%
    -8.4%
    July
    1.0%
    8.9%
    August
    1.2%
    -4.2%
    September
    1.9%
    -9.5%
    October
    -1.8%
    8.0%
    November
    1.2%
    5.5%
    December
    1.4%
    -5.9%
  • 2023
    -0.2%
    5.9%
    January
    -0.2%
    5.9%
Position
Entry Exit
2.5D call 80% PT
SPXW Short Call
80.0% portfolio
20.0% notional withheld
$1.00 fee per contract
$0.05 free to close
1 minute between trades
65% slippage at entry
65% slippage at exit
Sequential
Before 3:00 PM EDT
1 DTE (1 min - 4 max)
0.025 CALL Δ
80% profit target
Position Timing Result
2.5D call 80% PT
-9 Fri Sep 2nd 2205c
Thu Sep 1st 2016
9:31 AM EDT | $0.09 credit
Fri Sep 2nd 2016
4:00 PM EDT |
Expired
$72 | 0.02%
$500,072 balance
2.5D call 80% PT
-9 Wed Sep 7th 2210c
Tue Sep 6th 2016
9:31 AM EDT | $0.09 credit
Wed Sep 7th 2016
4:00 PM EDT |
Expired
$72 | 0.02%
$500,144 balance
2.5D call 80% PT
-9 Fri Sep 9th 2205c
Thu Sep 8th 2016
9:31 AM EDT | $0.10 credit
Fri Sep 9th 2016
4:00 PM EDT |
Expired
$81 | 0.02%
$500,225 balance
2.5D call 80% PT
-9 Wed Sep 14th 2185c
Mon Sep 12th 2016
9:31 AM EDT | $0.23 credit
Tue Sep 13th 2016
12:31 PM EDT | $0.05 debit
Profit Target
$153 | 0.04%
$500,378 balance
2.5D call 80% PT
-9 Wed Sep 14th 2170c
Tue Sep 13th 2016
12:32 PM EDT | $0.19 credit
Wed Sep 14th 2016
9:32 AM EDT | $0.05 debit
Profit Target
$117 | 0.03%
$500,495 balance
2.5D call 80% PT
-9 Mon Sep 19th 2180c
Thu Sep 15th 2016
9:31 AM EDT | $0.24 credit
Fri Sep 16th 2016
11:10 AM EDT | $0.05 debit
Profit Target
$162 | 0.04%
$500,657 balance
2.5D call 80% PT
-9 Mon Sep 19th 2170c
Fri Sep 16th 2016
11:11 AM EDT | $0.15 credit
Fri Sep 16th 2016
3:11 PM EDT | $0.05 debit
Profit Target
$81 | 0.02%
$500,738 balance
2.5D call 80% PT
-9 Wed Sep 21st 2190c
Mon Sep 19th 2016
9:31 AM EDT | $0.22 credit
Wed Sep 21st 2016
2:01 PM EDT | $0.05 debit
Profit Target
$144 | 0.04%
$500,882 balance
2.5D call 80% PT
-9 Fri Sep 23rd 2200c
Wed Sep 21st 2016
2:02 PM EDT | $0.22 credit
Fri Sep 23rd 2016
9:30 AM EDT | $0.05 debit
Profit Target
$144 | 0.04%
$501,026 balance
2.5D call 80% PT
-9 Mon Sep 26th 2200c
Fri Sep 23rd 2016
9:31 AM EDT | $0.10 credit
Mon Sep 26th 2016
4:00 PM EDT |
Expired
$81 | 0.02%
$501,107 balance
2.5D call 80% PT
-9 Wed Sep 28th 2180c
Tue Sep 27th 2016
9:31 AM EDT | $0.20 credit
Wed Sep 28th 2016
9:41 AM EDT | $0.05 debit
Profit Target
$126 | 0.03%
$501,233 balance
2.5D call 80% PT
-9 Fri Sep 30th 2195c
Wed Sep 28th 2016
9:42 AM EDT | $0.19 credit
Thu Sep 29th 2016
1:26 PM EDT | $0.05 debit
Profit Target
$117 | 0.03%
$501,350 balance
2.5D call 80% PT
-9 Fri Sep 30th 2185c
Thu Sep 29th 2016
1:27 PM EDT | $0.19 credit
Fri Sep 30th 2016
9:34 AM EDT | $0.05 debit
Profit Target
$117 | 0.03%
$501,467 balance
2.5D call 80% PT
-9 Mon Oct 3rd 2195c
Fri Sep 30th 2016
9:35 AM EDT | $0.10 credit
Mon Oct 3rd 2016
4:00 PM EDT |
Expired
$81 | 0.02%
$501,548 balance
2.5D call 80% PT
-9 Wed Oct 5th 2190c
Tue Oct 4th 2016
9:31 AM EDT | $0.09 credit
Wed Oct 5th 2016
4:00 PM EDT |
Expired
$72 | 0.02%
$501,620 balance
2.5D call 80% PT
-9 Fri Oct 7th 2190c
Thu Oct 6th 2016
9:31 AM EDT | $0.13 credit
Fri Oct 7th 2016
4:00 PM EDT |
Expired
$108 | 0.03%
$501,728 balance
2.5D call 80% PT
-9 Wed Oct 12th 2195c
Mon Oct 10th 2016
9:31 AM EDT | $0.10 credit
Wed Oct 12th 2016
4:00 PM EDT |
Expired
$81 | 0.02%
$501,809 balance
2.5D call 80% PT
-9 Fri Oct 14th 2165c
Thu Oct 13th 2016
9:31 AM EDT | $0.18 credit
Fri Oct 14th 2016
11:07 AM EDT | $0.05 debit
Profit Target
$108 | 0.03%
$501,917 balance
2.5D call 80% PT
-9 Mon Oct 17th 2170c
Fri Oct 14th 2016
11:08 AM EDT | $0.10 credit
Mon Oct 17th 2016
4:00 PM EDT |
Expired
$81 | 0.02%
$501,998 balance
2.5D call 80% PT
-9 Wed Oct 19th 2170c
Tue Oct 18th 2016
9:31 AM EDT | $0.19 credit
Wed Oct 19th 2016
9:30 AM EDT | $0.05 debit
Profit Target
$117 | 0.03%
$502,115 balance